Latency has been a hot topic for a while, first in the industry and more recently also in academia. It is very common to hear about milliseconds, even microseconds.
While most of the media attention ...

A trading system has $n$ colocated uplinks to TCP order entry gateways $g_1, \dots, g_n$ on a given exchange. Each gateway $g_i$ has a different order entry delay function $d_i(t)$ as a function of ...

We're developing an HFT strategy for highly liquid futures traded at Eurex. We are planning to colocate our server and to use data feed of QuantHouse and execution API of ObjectTrading. Backtesting is ...

What are good ways of describe observed tick data latency with a view to flagging when something is systematically wrong?
For example, we would want to discount outlier ticks so that we do not alert ...